I just want to clarify that depression is an illness--not just a mood. It's the result of a chemical imbalance in your brain, and it requires treatment. Unlike "the glums", you can't just snap out of it, just like you can't snap out of being ill. But people tend to use the word to mean being in a low mood, rather than as a clinical term, so I think not everyone realizes that it's not the same thing.
Anyways, if you're just feeling down but not depressed, you should be able to simply change your attitude and bounce back. But if you're depressed (as in clinically depressed), that's just not possible. You can try all you want to not be sad, but the best you can do is suppress it temporarily or distract yourself, and your probably won't be able to experience much, if any actual happiness.